Canonical vine copulas in the context of modern portfolio management : are they worth it?
Rand Kwong Yew Low; Jamie Alcock; Robert Faff; Timothy Brailsford
| Year of publication: |
2013
|
|---|---|
| Authors: | Low, Rand Kwong Yew ; Alcock, Jamie ; Faff, Robert W. ; Brailsford, Timothy J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3085-3099
|
| Subject: | Vine copula | Clayton copula | Asymmetric dependence | Portfolio management | Canonical vine | Conditional value-at-risk | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009777123